© 2005

Evaluating Econometric Forecasts of Economic and Financial Variables


Part of the Palgrave Texts in Econometrics book series (PTEC)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Michael P. Clements
    Pages 1-3
  3. Michael P. Clements
    Pages 4-45
  4. Michael P. Clements
    Pages 46-76
  5. Michael P. Clements
    Pages 77-102
  6. Michael P. Clements
    Pages 103-123
  7. Michael P. Clements
    Pages 124-142
  8. Michael P. Clements
    Pages 143-145
  9. Michael P. Clements
    Pages 146-155
  10. Back Matter
    Pages 156-173

About this book


Financial econometrics is one of the greatest on-going success stories of recent decades, as it has become one of the most active areas of research in econometrics. In this book, Michael Clements presents a clear and logical explanation of the key concepts and ideas of forecasts of economic and financial variables. He shows that forecasts of the single most likely outcome of an economic and financial variable are of limited value. Forecasts that provide more information on the expected likely ranges of outcomes are more relevant. This book provides a comprehensive treatment of the evaluation of different types of forecasts and draws out the parallels between the different approaches. It describes the methods of evaluating these more complex forecasts which provide a fuller description of the range of possible future outcomes.


econometrics evaluation information research success volatility

Authors and affiliations

  1. 1.University of WarwickUK

About the authors

MICHAEL P. CLEMENTS is an editor of the International Journal of Forecasting, and has co-authored two books on economic forecasting as well as a number of papers in scientific journals. With David F. Hendry he edited A Companion to Economic Forecasting.

Bibliographic information

  • Book Title Evaluating Econometric Forecasts of Economic and Financial Variables
  • Authors M. Clements
  • Series Title Palgrave Texts in Econometrics
  • DOI
  • Copyright Information Palgrave Macmillan, a division of Macmillan Publishers Limited 2005
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Palgrave Economics & Finance Collection Economics and Finance (R0)
  • Hardcover ISBN 978-1-4039-4156-5
  • Softcover ISBN 978-1-4039-4157-2
  • eBook ISBN 978-0-230-59614-6
  • Edition Number 1
  • Number of Pages XIII, 173
  • Number of Illustrations 6 b/w illustrations, 0 illustrations in colour
  • Topics Econometrics
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking